Flirting with Models

The Research Library of Newfound Research

Category: Momentum (Page 1 of 7)

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta

Straddles and Trend Following

A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

Domestic Fixed Income Factor Implementations

We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.

The Dumb (Timing) Luck of Smart Beta

In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.

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